Blasques, F., van Brummelen, J., Koopman, S.J. and Lucas, A. (2021). Maximum likelihood estimation for score-driven models Journal of Econometrics, :.
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Wang, W.(., Leng, X.(. and Chen, H. (2021). Multi-dimensional latent group structures with heterogeneous distributions Journal of Econometrics, :. -
Juodis, A. and Sarafidis, V. (2021). An incidental parameters free inference approach for panels with common shocks Journal of Econometrics, :. -
Li, M. and Koopman, S. (2021). Unobserved components with stochastic volatility: Simulation-based estimation and signal extraction Journal of Applied Econometrics, 36(5):614--627. -
Boswijk, H., Cavaliere, G., Georgiev, I. and Rahbek, A. (2021). Bootstrapping non-stationary stochastic volatility Journal of Econometrics, :.